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Option Valuation for Roll Optimised Strategies
Say you have a roll optimised future roll strategy, which invest in a new future every month...The possible future range will be the entire future curve.To value an option on that strategy say in one year, this is not trivial, as you cannot know, on which future the option will expire.Even the implied vol to use is not clear.Are there any (approximate) model solutions (beyond black scholes - in that case it's easy).Paper references would be greatMany thanks for your answers.